3 Description

Low discrepancy (quasi-random) sequences are used in numerical integration, simulation and optimization. Like pseudorandom numbers they are uniformly distributed but they are not statistically independent, rather they are designed to give more even distribution in multidimensional space (uniformity). Therefore they are often more efficient than pseudorandom numbers in multidimensional Monte–Carlo methods.

nag_quasi_random_normal (g05ybc) generates multidimensional quasi-random sequences with a Gaussian or log-normal probability distribution. The sequences are generated in pairs using the Box–Muller method. This means that an even number of dimensions are required by this function. If an odd number of dimensions are required then the extra dimension must be computed, but can then be ignored.

On exit: the random numbers, generated in pairs. That is, on the first call with state=Nag_QuasiRandom_Cont, quasi[k-1] contains the first quasi-random number for the kth dimension. On the next call quasi[k-1] contains the second quasi-random number for the kth dimension, etc..

9:
gf – Nag_QuasiRandom *Communication Structure

Workspace used to communicate information between calls to nag_quasi_random_normal (g05ybc). The contents of this structure should not be changed between calls.